Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32151
Authors: 
Hodder, James E.
Jackwerth, Jens Carsten
Kolokolova, Olga
Year of Publication: 
2008
Series/Report no.: 
Discussion paper series // Zentrum für Finanzen und Ökonometrie, Universität Konstanz 2008,09
Abstract: 
Numerous hedge funds stop reporting to commercial databases each year. An issue for hedgefund performance estimation is: what delisting return to attribute to such funds? This would be particularly problematic if delisting returns are typically very different from continuing funds' returns. In this paper, we use estimated portfolio holdings for funds-of-funds with reported returns to back out maximum likelihood estimates for hedge-fund delisting returns. The estimated mean delisting return for all exiting funds is small, although statistically significantly different from the average observed returns for all reporting hedge funds. These findings are robust to relaxing several underlying assumptions.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
154.09 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.